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Primary Peg™

(-ʱ®)

Rests outside the NBBO and is willing to step up to the NBB or NBO to trade–except when the Signal is on.

  • Dark
  • More conservative than D-Peg
About

IEX’s Primary Peg (P-Peg) is a non-displayed order type which extends the protections of D-Peg and the Signal to trading at the NBB for buys and NBO for sells.

IEX Primary Peg orders rest on the order book 1 minimum price-variant (MPV, $0.01 for most stocks) lower than the NBB for buy orders and 1 MPV higher than the NBO for sell orders. They exercise discretion to trade at the NBB or NBO when the quote is stable, but stay booked 1 MPV away from the NBBO during a crumbling quote, as determined by the Signal.

Primary Peg™

Functionality

Example Scenario

Quote is Stable. The Signal is "Off."

Primary Peg buy order booked at $10.09, 1 MPV below the NBB. The NBBO is $10.10 x $10.14, during a period of quote stability.

  • Example 1: Sell ISO with a $10.09 limit crosses the spread and executes with the Primary Peg order at its resting price of $10.09.
  • Example 2: Sell order with a $10.10 limit crosses the spread and the Primary Peg order exercises price discretion to execute on the NBB at $10.10.
  • Example 3: Sell order with a $10.11 limit enters but doesn’t trade with the Primary Peg order, because Primary Peg orders cannot execute at prices more aggressive than the NBB for buy orders (or NBO for sell orders); no trade occurs.
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Quote is Crumbling. The Signal is “On.”

Primary Peg buy order booked at $10.09, 1 MPV below the NBB. The NBBO is $10.10 x $10.14, during a period of quote instability (i.e., the quote is crumbling).

  • Example 1: Sell ISO with a $10.09 limit crosses the spread and executes with the Primary Peg order at its resting price of $10.09.
  • Example 2: Sell order with a $10.10 limit crosses the spread, but the Primary Peg order does not exercise price discretion while the Signal is on; no trade occurs.
  • Example 3: Sell order with a $10.11 limit enters but doesn’t trade with the Primary Peg order, because Primary Peg orders cannot execute at prices more aggressive than the NBB for buy orders (or NBO for sell orders); no trade occurs.
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Example Scenario

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Primary Peg™

Workflow

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Parent-Order Performance That Meets the Mark

D-Limit is designed to deliver better-performing child orders, which in turn can roll up into better parent-order performance. Powered by IEX Exchange's Signal, D-limit works to minimize adverse selection and deliver genuine spread capture, so you’re buying a stable bid—not a bid that ends up becoming the offer. D-limit is also designed to obtain pre-trade price improvement and is the only displayed exchange order type that enables users to achieve prices better than their initial resting price.

FIX Details
3.5 Trillion
Notional value traded on IEX Exchange using D-Limit since its inception
75%
Proportion of IEX Exchange's lit trading volume using D-Limit
19%
Of Institutional brokers' D-Limit volume sees 2¢/share average Price Improvement*
75%
Price stability with D-limit vs 28% price stability on other exchanges**

Real Results

D-Limit's impact.
New Functionality Improves D-Limit Hit Rates
D-Limit’s Cancel/Reprice functionality increased hit rates from 27% to 35%.
Significant Savings
19% of Institutional brokers' D-Limit volume experiences an average price improvement of 2¢/share.
Enhanced Stability with Signal V6
D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.

D-Limit in Action

Explore the mechanics of D-Limit through a detailed workflow diagram, illustrating the journey of an order from placement to execution. Then, see real-world scenarios that demonstrate D-Limit's dynamic response in varying market conditions.

Example Scenario

Quote is Stable. The Signal is "Off."
The NBBO is $10.10 x $10.14. D-Limit buy order is booked at $10.10. The quote is stable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.10.
Quote is Crumbling. The Signal is "On."
The NBBO is $10.10 x $10.14. A D-Limit buy order with a limit of $10.10 is repriced to $10.09, 1 MPV below the unstable price ($10.10). The quote is unstable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.09.

Example Scenario

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Workflow

This diagram details a base case messaging flow for a client sending a D-Limit order to IEX Exchange, the Signal (i.e., Crumbling Quote Indicator or CQI) triggering, repricing of the order, and finally a client cancellation of the order.

Cancel/Reprice Functionality

D-Limit now offers a Cancel/Reprice functionality, addressing Members' needs for better order management without consuming the restatement message. Members who opt-in to this functionality can configure D-Limit orders for automatic action 10 milliseconds post-Signal fire, enhancing price discovery and liquidity on IEX Exchange.

Resources

More information on D-limit.
Pricing
Starting September 2023, displayed adding volume on IEX Exchange earns a 4 mil rebate, with $0.0010/share charged for removing liquidity.
Signal V6
D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.
Restatement Messages
When D-Limit orders are restated, users receive a restatement message, containing the price to which D-Limit orders were moved.
Insights

The Latest on D-Limit

* "Institutional Brokers” defined as Full-Service and Agency broker-dealers, based on IEX classifications on a best-efforts basis by Member firms’ trading sessions.
** Stable volume is defined as volume after which there was not an NBBO change in the 2ms following a trade. Stability comparisons made on volume taking place at the NBBO.